New York, NY 10027
Columbia Business School - Finance and Economics
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risk-neutral, PDs, reduced-form models
Collateral, Interest Rate Swaps, Default
Risk-neutral, PDs, reduced-form models
Endogenous default, leverage, real options, debt overhang, debt seniority
Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall
Contingent capital, capital requirements
Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer
Run Risk, Safe Harbor Debt, Optimal Liability Structure, Capital Structure, Bankruptcy Code
Euro-Dollar currency basis, the 2008 dollar squeeze, possession, canonical buy-sell arbitrage, central banks coordinated intervention, money markets, liquidity
Unencumbered cash, prime brokers, redemption and funding options
Y2K, CDC, liquidity, on-the-run, off-the-run, options
Y2K Options, liquidity, treasury bonds
bank liability structure, corporate tax, leverage
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP11893.
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OIS, FOMC, Term structure, Bayesian inference, MCMC
Pension funds, liability-driven investment, swap spreads, pension protection act, swap rates, limits of arbitrage
G1, G12, G18
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